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报告生成时间 | Report Generation on ：Sep 6, 2023
报告版本号 | Report Version ：v2

本文档由弘量研究（AQUMON）生成。
This document is prepared by Magnum Research Limited (AQUMON).
Website: https://www.aqumon.com/

历史文档 | Report Archive
2023/04 2023/05 2023/06 2023/07 2023/08

AI Macro 是AQUMON开发，基于利用合成的宏观指标解释市场的前提，消化宏观数据并产出即期分析与短期预测，构建不同宏观状态，分析对应状态下的回报与波动，给出最佳配权建议。AI Macro可涵盖境外全市场及部分境内市场底层，以国际配置观点主导，目的是通过动态调整股债比，跑赢传统40／60全天候或静态配置产品。

AI Macro is a framework developed by AQUMON, aiming to combine different macroeconomic indicators, perform composition into different phases, and analyze the behaviors of asset return conditioning on such phases, thereby deriving a set of rules for optimal asset allocation under each macroeconomic phase. AI Macro currently have models that covers U.S., China, and partially the Eurozone market, and is on track to develop stronger global coverage.

文档图表互动

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  • 双击图表任何空白地方，会重置缩放

How to interact with charts

  • Hover over charts for data point call out
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  • Double click on charting region to reset zoom level
  • 本文档内，所有指标（如非特别标注），皆以标准差产出。模型标准差校准至2000年起宏观数据，并针对极据数据进行缩尾 (Winsorize) 处理。
  • 经济增长以预测美国国内生产总值年化变化为准。
  • 物价水平以预测美国物价指数指标走势年化变化为准。
  • 金融情势指数拟合美国政府宏观政策对美国未来经济影响，以当前的宏观指标变化，预测一年后企业盈利趋势，同时可以作为整体市场压力的指数。指标定义为高是金融情势紧缩，意指当时政策大机率导致一年后企业盈利下降，融资成本上升，资金流转变差，利好质量因子；低为宽松，资金充裕，融资环境利好增长因子。
  • 就业环境以预测美国非农就业新增职位月度变化为准。

Remarks: NFCI is an index provided by US Chicago FED. Both AQUMON FCI and NFCI both attempts to quantify periods of market stress, however both entity employ a different method, and therefore is not directly comparable.

注：NFCI 是由美国芝加哥联储行提供的一个指标。AQUMON制作的金融情势指数，与NFCI指数，两者的目的旨在量化市场压力；两个指标构成方式不尽相同，不能直接比较，NFCI仅供参考。

  • Below shows the attribution to changes of an macroeconomic indicator.

  • [+] on a subindicator shows a positive impact to the underlying economic indicator; [-] c.f. shows a negative impact.

  • If a [+] subindicator is in the negative region, it means the subindicator changed for worse, and is expected to have negative impact on the underlying economic indicator.

  • 下面展示宏观指标（大指标）每期变化的归因。

  • 如相应小指标（即构成大指标的一些分项）前有 [+] 符号，即该小指标对大指标有正面贡献； [-] 指该小指标有负面贡献。

  • 如某 [+] 小指标在下图中出现负值, 表示该小指标对大指标的环比带有负贡献。

A composite macroecnomic state is created by combining the orthogonal signals. At the current iteration of the model, we combine the q/q change on GDP, q/q change on CPI, and the Financial Condition Index level (renormalized and smoothed) as the input for the below asset allocation model.

美国宏观模型状态使用数个宏观指标合成得出。本版本模型中采用了经济增长 环比，物价水平 环比，金融情势指数水平作为输入，进行去噪及标准化处理，作为宏观配置的输入。